27
H index
53
i10 index
3764
Citations
Luc Bauwens : Citation Profile
Université Catholique de Louvain | RESEARCH PRODUCTION: 57 Articles 193 Papers 1 Books 3 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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40 years (1983 - 2023). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens. | Is cited by:
| Cites to:
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Main data
Where Luc Bauwens has published?
Recent works citing Luc Bauwens (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Sparse time-varying parameter VECMs with an application to modeling electricity prices. (2020). Pfarrhofer, Michael ; Hauzenberger, Niko ; Rossini, Luca. In: Papers. RePEc:arx:papers:2011.04577. Full description at Econpapers || Download paper |
| 2024 | Optimal Regime-Switching Density Forecasts. (2021). Moramarco, Graziano. In: Papers. RePEc:arx:papers:2110.13761. Full description at Econpapers || Download paper |
| 2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper |
| 2023 | Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market. (2022). Grzeszkiewicz, Karolina ; Koziell, Warrick Poklewski ; de Iorio, Maria ; Beskos, Alexandros ; Franzolini, Beatrice. In: Papers. RePEc:arx:papers:2208.00952. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471. Full description at Econpapers || Download paper |
| 2023 | A Deep Neural Network Algorithm for Linear-Quadratic Portfolio Optimization with MGARCH and Small Transaction Costs. (2023). Khorrami, Farshad ; Krishnamurthy, Prashanth ; Fu, Hao ; Papanicolaou, Andrew. In: Papers. RePEc:arx:papers:2301.10869. Full description at Econpapers || Download paper |
| 2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
| 2023 | Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms. (2023). Wilms, Ines ; Rombouts, Jeroen ; Hu, Yu Jeffrey. In: Papers. RePEc:arx:papers:2303.01887. Full description at Econpapers || Download paper |
| 2023 | Network log-ARCH models for forecasting stock market volatility. (2023). Otto, Philipp ; Mattera, Raffaele. In: Papers. RePEc:arx:papers:2303.11064. Full description at Econpapers || Download paper |
| 2023 | A Simple Method for Predicting Covariance Matrices of Financial Returns. (2023). Boyd, Stephen ; Schmelzer, Thomas ; Pelger, Markus ; Ogut, Mehmet Giray ; Johansson, Kasper. In: Papers. RePEc:arx:papers:2305.19484. Full description at Econpapers || Download paper |
| 2023 | Matrix GARCH Model: Inference and Application. (2023). Zhu, KE ; Jiang, Feiyu ; Li, Dong ; Yu, Cheng. In: Papers. RePEc:arx:papers:2306.05169. Full description at Econpapers || Download paper |
| 2023 | The Effect of COVID-19 on Cryptocurrencies and the Stock Market Volatility -- A Two-Stage DCC-EGARCH Model Analysis. (2023). Ampountolas, Apostolos. In: Papers. RePEc:arx:papers:2307.09137. Full description at Econpapers || Download paper |
| 2023 | Measuring Value Added in Gross Trade: Endogenous Approach of Vertical Differentiation. (2023). Dutta, Sourish. In: Papers. RePEc:arx:papers:2307.10660. Full description at Econpapers || Download paper |
| 2024 | Linear Regression with Weak Exogeneity. (2023). Solvsten, Mikkel ; Mikusheva, Anna. In: Papers. RePEc:arx:papers:2308.08958. Full description at Econpapers || Download paper |
| 2023 | Spatial and Spatiotemporal Volatility Models: A Review. (2023). Bera, Anil K ; Schmid, Wolfgang ; Tacspinar, Suleyman ; Dougan, Osman ; Otto, Philipp. In: Papers. RePEc:arx:papers:2308.13061. Full description at Econpapers || Download paper |
| 2023 | Variational Inference for GARCH-family Models. (2023). Iosifidis, Alexandros ; Magris, Martin. In: Papers. RePEc:arx:papers:2310.03435. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Asymmetric volatility spillover between crude oil and other asset markets. (2023). Mazouz, Khelifa ; Guan, BO ; Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/27. Full description at Econpapers || Download paper |
| 2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
| 2023 | Stock Market Liquidity during Periods of Distress and its Implications: Evidence from International Financial Markets. (2023). Enow, Samuel Tabot. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-01-1. Full description at Econpapers || Download paper |
| 2023 | Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x. Full description at Econpapers || Download paper |
| 2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
| 2023 | Asymmetric volatility impulse response functions. (2023). Herwartz, Helmut ; Hafner, Christian M. In: Economics Letters. RePEc:eee:ecolet:v:222:y:2023:i:c:s0165176522004426. Full description at Econpapers || Download paper |
| 2023 | Time series analysis of COVID-19 infection curve: A change-point perspective. (2023). Shao, Xiaofeng ; Zhao, Zifeng ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:1-17. Full description at Econpapers || Download paper |
| 2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
| 2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper |
| 2023 | Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165. Full description at Econpapers || Download paper |
| 2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
| 2023 | Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models. (2023). Shin, Minchul ; Rubio-Ramirez, Juan F ; Arias, Jonas E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1054-1086. Full description at Econpapers || Download paper |
| 2023 | Following the leaders? A study of co-movement and volatility spillover in BRICS currencies. (2023). Roy, Saikat Sinha ; Das, Suman. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:2:s0939362522000425. Full description at Econpapers || Download paper |
| 2023 | Unrestricted maximum likelihood estimation of multivariate realized volatility models. (2023). Golosnoy, Vasyl ; Vogler, Jan. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:3:p:1063-1074. Full description at Econpapers || Download paper |
| 2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
| 2023 | Forecasting the real prices of crude oil: What is the role of parameter instability?. (2023). Wang, Yudong ; Hao, Xianfeng. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322006120. Full description at Econpapers || Download paper |
| 2023 | Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models. (2023). Virbickait, Audron ; Nguyen, Hoang. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002360. Full description at Econpapers || Download paper |
| 2023 | Risk transmission from the energy markets to the carbon market: Evidence from the recursive window approach. (2023). Brooks, Robert ; Hasanov, Akram Shavkatovich ; Vellachami, Sanggetha. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002314. Full description at Econpapers || Download paper |
| 2023 | On pricing double-barrier options with Markov regime switching. (2023). Zhang, Tianqi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005906. Full description at Econpapers || Download paper |
| 2023 | Measuring systemic risk with high-frequency data: A realized GARCH approach. (2023). Liang, Fang ; Huang, Zhuo ; Chen, Qihao. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001265. Full description at Econpapers || Download paper |
| 2023 | Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures. (2023). Reh, Laura ; Hartkopf, Jan Patrick. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005019. Full description at Econpapers || Download paper |
| 2023 | Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404. Full description at Econpapers || Download paper |
| 2023 | Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712. Full description at Econpapers || Download paper |
| 2023 | Projected Dynamic Conditional Correlations. (2023). Brownlees, Christian ; Llorens-Terrazas, Jordi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1761-1776. Full description at Econpapers || Download paper |
| 2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
| 2023 | Dynamic volatility contagion across the Baltic dry index, iron ore price and crude oil price under the COVID-19: A copula-VAR-BEKK-GARCH-X approach. (2023). Miao, Jiafeng ; Xu, Jing ; Chen, Yufeng. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723000041. Full description at Econpapers || Download paper |
| 2023 | On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448. Full description at Econpapers || Download paper |
| 2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
| 2023 | European systemic credit risk transmission using Bayesian networks. (2023). Pavia, Jose M ; Lopez, Jesua ; Ballester, Laura. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000405. Full description at Econpapers || Download paper |
| 2023 | Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Changes in the Polish Coal Sector Economic Situation with the Background of the European Union Energy Security and Eco-Efficiency Policy. (2023). Holden, Lisa ; Bedycka-Borawska, Aneta ; Borawski, Piotr. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:2:p:726-:d:1028725. Full description at Econpapers || Download paper |
| 2023 | Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257. Full description at Econpapers || Download paper |
| 2023 | Scalar Measures of Volatility and Dependence for the Multivariate Models with Applications to Asian Financial Markets. (2023). Bera, Anil K ; Kim, Sangwhan. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:4:p:212-:d:1108433. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | The Impact of News Related Covid-19 on Exchange Rate Volatility:A New Evidence From Generalized Autoregressive Score Model. (2023). Erer, Deniz. In: EKOIST Journal of Econometrics and Statistics. RePEc:ist:ekoist:v:0:y:2023:i:38:p:105-126. Full description at Econpapers || Download paper |
| 2023 | Technological intensity in manufacturing trade between ASEAN and the EU: challenges and opportunities. (2023). HEVIA, JOSE ; Arrazola, Maria ; Zapata, Amadeo Navarro. In: Asia Europe Journal. RePEc:kap:asiaeu:v:21:y:2023:i:1:d:10.1007_s10308-023-00661-1. Full description at Econpapers || Download paper |
| 2023 | The two-component Beta-t-QVAR-M-lev: a new forecasting model. (2023). Blazsek, Szabolcs ; Cardia, Michel Ferreira ; Sheng, Hsia Hua ; Fuerst, Franz ; Arestis, Philip. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:4:d:10.1007_s11408-023-00431-4. Full description at Econpapers || Download paper |
| 2023 | Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1. Full description at Econpapers || Download paper |
| 2023 | A High-dimensional Multinomial Logit Model. (2023). Nibbering, Didier. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-19. Full description at Econpapers || Download paper |
| 2023 | Endogenous Horizontal and Vertical Differentiation: Measuring Value Added in Intra-industry Trade. (2023). Dutta, Sourish. In: SocArXiv. RePEc:osf:socarx:zqb9n. Full description at Econpapers || Download paper |
| 2023 | Volatility linkages and value gains from diversifying with Islamic assets. (2023). Jahromi, Maria ; Akhtar, Shumi ; John, Kose. In: Journal of International Business Studies. RePEc:pal:jintbs:v:54:y:2023:i:8:d:10.1057_s41267-023-00641-y. Full description at Econpapers || Download paper |
| 2023 | Examining volatility and spillover effects between markets for sovereign bonds of African countries and the world’s long term interest rate. (2023). Debalke, Negash Mulatu. In: MPRA Paper. RePEc:pra:mprapa:117491. Full description at Econpapers || Download paper |
| 2023 | The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons. (2023). Bonga-Bonga, Lumengo ; Tshikalange, Mulanga. In: MPRA Paper. RePEc:pra:mprapa:118401. Full description at Econpapers || Download paper |
| 2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
| 2023 | Diversification evidence of bitcoin and gold from wavelet analysis. (2023). Zhang, Changyong ; Husain, Afzol ; Bhuiyan, Rubaiyat Ahsan. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00495-1. Full description at Econpapers || Download paper |
| 2023 | Impact of trading hours extensions on foreign exchange volatility: intraday evidence from the Moscow exchange. (2023). Kadioglu, Eyup ; Frommel, Michael. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00500-7. Full description at Econpapers || Download paper |
| 2023 | Buy, sell or rent the farm: succession planning and the future of farming on the Great Plains. (2023). Nolan, James F ; Schoney, Richard A ; Su, Chi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00381-0. Full description at Econpapers || Download paper |
| 2023 | Presale Estimates and Auction Prices in Indian Art Market: Accuracy, Determinants and Motivations. (2023). Ananthakumar, Usha ; Gurjar, Shailendra. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:3:d:10.1007_s40953-023-00357-8. Full description at Econpapers || Download paper |
| 2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
| 2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
| 2023 | Bayesian inference of multivariate-GARCH-BEKK models. (2023). Nur, Darfiana ; Livingston, G C. In: Statistical Papers. RePEc:spr:stpapr:v:64:y:2023:i:5:d:10.1007_s00362-022-01360-6. Full description at Econpapers || Download paper |
| 2023 | A Truncated Mixture Transition Model for Interval-valued Time Series. (2023). Luo, Yun ; Gonzalez-Rivera, Gloria. In: Working Papers. RePEc:ucr:wpaper:202315. Full description at Econpapers || Download paper |
| 2023 | BAYESIAN DYNAMIC VARIABLE SELECTION IN HIGH DIMENSIONS. (2023). Korobilis, Dimitris ; Koop, Gary. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:1047-1074. Full description at Econpapers || Download paper |
| 2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper |
| 2023 | Contagion between selected European indexes during the Covid-19 pandemic. (2023). Syrek, Robert ; Gurgul, Henryk. In: Operations Research and Decisions. RePEc:wut:journl:v:33:y:2023:i:1:p:47-59:id:4. Full description at Econpapers || Download paper |
| 2023 | Horizontal and Vertical Differentiation: Approaching Endogenous Measurement in Intra-industry Trade. (2023). Dutta, Sourish. In: EconStor Preprints. RePEc:zbw:esprep:275680. Full description at Econpapers || Download paper |
Luc Bauwens has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Luc Bauwens:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2011 | Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 52 |
| 2011 | Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2011 | Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2014 | Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
| 2011 | Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2018 | State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2018 | State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 1991 | Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 1991 | Bayesian diagnostics for heterogeneity.(1991) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 1991 | The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 1991 | The pathology of the natural conjugate prior density in the regression model.(1991) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 1990 | THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M.. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2000 | The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 184 |
| 2000 | The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 184 | paper | |
| 1989 | BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA. [Full Text][Citation analysis] | paper | 46 |
| 2011 | Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2013 | Multivariate volatility modeling of electricity futures.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2011 | Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
| 2013 | MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2011 | Volatility Models In: LIDAM Discussion Papers ISBA. [Citation analysis] | paper | 26 |
| 2012 | Volatility Models.(2012) In: LIDAM Reprints ISBA. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2011 | Volatility models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2013 | Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA. [Citation analysis] | paper | 7 |
| 1994 | Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 18 |
| 1992 | Estimating End-Use Demand : A Bayesian Approach.(1992) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 1994 | Estimating End-use Demand: a Bayesian Approach.(1994) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 1992 | Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2005 | A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 131 |
| 2005 | A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 131 | paper | |
| 2006 | REGIME SWITCHING GARCH MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 33 |
| 2007 | A component GARCH model with time varying weights.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2009 | A component GARCH model with time varying weights.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2007 | A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2006 | A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006. [Citation analysis] This paper has nother version. Agregated cites: 33 | paper | |
| 2011 | The Resistible Decline of European Science In: Recherches économiques de Louvain. [Full Text][Citation analysis] | article | 18 |
| 2007 | The resistible decline of European science.(2007) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | The resistible decline of European Science.(2011) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2008 | The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2011 | The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2021 | DCC and DECO-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations.(2023) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | The contribution of realized covariance models to the economic value of volatility timing In: Cardiff Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | The contribution of realized covariance models to the economic value of volatility timing.(2023) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 66 |
| 2011 | A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2011 | A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2011 | A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2011 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2011 | A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | paper | |
| 2015 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
| 2013 | Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 14 |
| 2013 | Modeling the dependence of conditional correlations on volatility.(2013) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
| 2018 | Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2020 | Nonlinearities and regimes in conditional correlations with different dynamics.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models In: Working Paper CRENoS. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Modelling Realized Covariance Matrices: a Class of Hadamard Exponential Models.(2020) In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2022 | Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models.(2022) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1987 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: LIDAM Discussion Papers CORE. [Citation analysis] | paper | 37 |
| 1988 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
| 1988 | Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
| 1992 | Approximate HPD regions for testing residual autocorrelation using augmented regressions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1994 | Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 34 |
| 1996 | Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 34 | paper | |
| 1994 | Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1995 | On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 1996 | Bayesian Inference on GARCH Models using the Gibbs Sampler In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 114 |
| 1998 | Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
| 1998 | Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal. [Citation analysis] This paper has nother version. Agregated cites: 114 | article | |
| 1996 | Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M.. [Citation analysis] This paper has nother version. Agregated cites: 114 | paper | |
| 1997 | A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
| 1998 | Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 1997 | Bayesian option pricing using asymmetric GARCH In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
| 1997 | Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M.. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 1997 | Modelling interest rates with a cointegrated VAR-GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 9 |
| 1997 | The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 1998 | Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
| 1999 | Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
| 1999 | Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 2000 | ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000. [Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 1999 | Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
| 1999 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 130 |
| 2004 | The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 130 | paper | |
| 2000 | Identifying long-run behaviour with non-stationary data. In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 111 |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
| 2000 | A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
| 2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | article | |
| 2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
| 2002 | A new class of multivariate skew densities, with application to GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 40 |
| 2002 | A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 40 | paper | |
| 2003 | The moments of Log-ACD models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 22 |
| 2009 | The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
| 2003 | News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 113 |
| 2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | paper | |
| 2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 113 | article | |
| 2003 | Multivariate GARCH models: a survey In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1082 |
| 2006 | Multivariate GARCH models: a survey.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1082 | paper | |
| 2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1082 | article | |
| 2006 | Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1082 | article | |
| 2003 | Ranking economics departments in Europe: a statistical approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 117 |
| 2003 | Ranking economics departments in Europe: a statistical approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | paper | |
| 2003 | Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | article | |
| 2003 | Bayesian clustering of many GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2007 | Bayesian clustering of many GARCH models.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2007 | Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2003 | Dynamic latent factor models for intensity processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2005 | Exchange rate volatility and the mixture of distribution hypothesis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 26 |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2005 | Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2006 | Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2008 | Exchange rate volatility and the mixture of distribution hypothesis.(2008) In: Studies in Empirical Economics. [Citation analysis] This paper has nother version. Agregated cites: 26 | chapter | |
| 2005 | Bayesian inference for the mixed conditional heteroskedasticity model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
| 2007 | Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2005 | Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2007 | Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2006 | Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2006 | Intra-daily FX optimal portfolio allocation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2006 | Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2006 | Regime switching GARCH models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2006 | Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2006 | Regime switching GARCH models.(2006) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 39 |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2006 | Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2007 | Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | article | |
| 2006 | General to specific modelling of exchange rate volatility: a forecast evaluation In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
| 2010 | General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2008 | General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2006 | General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
| 2010 | General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2006 | Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 13 |
| 2007 | Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2006 | Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | paper | |
| 2007 | Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2006 | Modelling financial high frequency data using point processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 102 |
| 2009 | Modelling financial high frequency data using point processes.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2006 | Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2007 | Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 102 | paper | |
| 2007 | Efficient importance sampling for ML estimation of SCD models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2009 | Efficient importance sampling for ML estimation of SCD models.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2007 | Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2009 | Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2007 | Theory and inference for a Markov switching GARCH model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 76 |
| 2010 | Theory and inference for a Markov switching Garch model.(2010) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 2007 | Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 2010 | Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | article | |
| 2007 | Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 2007 | Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | paper | |
| 2009 | On marginal likelihood computation in change-point models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
| 2012 | On marginal likelihood computation in change-point models.(2012) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2012 | On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2009 | On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2011 | Estimating and forecasting structural breaks in financial time series In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Bayesian methods In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
| 2013 | Bayesian methods.(2013) In: Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
| 2012 | Computationally efficient inference procedures for vast dimensional realized covariance models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2012 | Forecasting long memory processes subject to structural breaks In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 11 |
| 2013 | Forecasting a long memory process subject to structural breaks.(2013) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2013 | Forecasting a long memory process subject to structural breaks.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2012 | Dynamic conditional correlation models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2014 | Estimation and empirical performance of non-scalar dynamic conditional correlation models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 7 |
| 2016 | Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2014 | Forecasting comparison of long term component dynamic models for realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
| 2016 | Forecasting comparison of long term component dynamic models for realized covariance matrices.(2016) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2015 | Autoregressive moving average infinite hidden markov-switching models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 20 |
| 2017 | Autoregressive moving average infinite hidden Markov-switching models.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
| 2017 | Autoregressive Moving Average Infinite Hidden Markov-Switching Models.(2017) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2016 | A dynamic component model for forecasting high-dimensional realized covariance matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 18 |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2017 | A dynamic component model for forecasting high-dimensional realized covariance matrices.(2017) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2016 | Multiplicative Conditional Correlation Models for Realized Covariance Matrices In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 7 |
| 2016 | A New Approach to Volatility Modeling : The High-Dimensional Markov Model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2016 | A new approach to volatility modeling: the High-Dimensional Markov model.(2016) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 2022 | We modeled long memory with just one lag! In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
| 2023 | We modeled long memory with just one lag!.(2023) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | We modeled long memory with just one lag!.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
| 2023 | We modeled long memory with just one lag!.(2023) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2023 | Realized Covariance Models with Time-varying Parameters and Spillover Effects In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Bayesian and classical econometric modeling of time series In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1996 | Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1999 | Recent developments in the econometrics of financial markets using intra-day data In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1999 | Trends and breaking points in the Bayesian econometric literature In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2000 | Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2000 | Art experts and auctions are pre-sale estimates unbiased and fully informative? In: LIDAM Reprints CORE. [Citation analysis] | paper | 39 |
| 2000 | Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2000 | Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 39 | paper | |
| 2002 | Bayesian option pricing using asymmetric GARCH models In: LIDAM Reprints CORE. [Citation analysis] | paper | 29 |
| 2002 | Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2000 | Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M.. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
| 2003 | Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 49 |
| 2003 | Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 49 | article | |
| 2004 | The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 127 |
| 2004 | The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 127 | article | |
| 2004 | Econometrics In: LIDAM Reprints CORE. [Citation analysis] | paper | 26 |
| 2004 | Econometrics.(2004) In: Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
| 2004 | Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 18 |
| 2004 | Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2003 | Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | paper | |
| 2006 | Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: LIDAM Reprints CORE. [Citation analysis] | paper | 5 |
| 2006 | Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
| 2006 | Stochastic conditional intensity processes In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 46 |
| 2006 | Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | article | |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models In: LIDAM Reprints CORE. [Citation analysis] | paper | 21 |
| 2014 | A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models.(2014) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
| 2015 | The Contribution of Structural Break Models to Forecating Macroeconomic Series In: LIDAM Reprints CORE. [Citation analysis] | paper | 52 |
| 2011 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
| 2015 | The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
| 2016 | Estimation and Empirical Performance of Non-Scalar DCC Models In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 2016 | Modeling the dependence of conditional correlations on market volatility In: LIDAM Reprints CORE. [Citation analysis] | paper | 12 |
| 2016 | Modeling the Dependence of Conditional Correlations on Market Volatility.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2019 | A new approach: the factorial hidden Markov volatility model In: LIDAM Reprints CORE. [Citation analysis] | paper | 2 |
| 1983 | An export model for the Belgian industry In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 2 |
| 1983 | An export model for the Belgian industry.(1983) In: European Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 1983 | Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
| 1983 | Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration.(1983) In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1985 | A 1-1 poly-t random variable generator with application to Monte Carlo integration In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 12 |
| 1985 | A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 1991 | The law of large (small?) numbers and the demand for insurance In: LIDAM Reprints CORE. [Citation analysis] | paper | 3 |
| 1990 | THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M.. [Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 1987 | Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal. [Full Text][Citation analysis] | article | 96 |
| 2004 | BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Intradaily dynamic portfolio selection In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2004 | Recent advances in Bayesian econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2006 | Causality and exogeneity in econometrics In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 1995 | Editors introduction Bayesian and classical econometric modeling of time series In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1996 | Editors introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1988 | The determinants of intra-European trade in manufactured goods In: European Economic Review. [Full Text][Citation analysis] | article | 12 |
| 2003 | Explaining Adaptive Radial-Based Direction Sampling In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers. [Citation analysis] | paper | 0 |
| 1998 | Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2002 | Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | The Econometrics of Industrial Organization In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2000 | Bayesian Inference in Dynamic Econometric Models In: OUP Catalogue. [Citation analysis] | book | 130 |
| 1987 | Théorie de l’information et diagnostic médical : une analyse coût-efficacité In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2002 | Multivariate GARCH models and their Estimation In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | Adaptive Polar Sampling In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 5 |
| 2006 | Editor’s introduction In: Empirical Economics. [Full Text][Citation analysis] | article | 1 |
| 2008 | Editors introduction: recent developments in high frequency financial econometrics In: Studies in Empirical Economics. [Citation analysis] | chapter | 0 |
| 1988 | Inter-industry and intra-industry specialization in manufactured goods In: Review of World Economics (Weltwirtschaftliches Archiv). [Full Text][Citation analysis] | article | 5 |
| 2019 | A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 6 |
| 2005 | High frequency finance In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
| 2007 | High frequency financial econometrics. Recent developments In: ULB Institutional Repository. [Citation analysis] | paper | 40 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team